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Retail Investor Sentiment And The Stock Market
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Book Synopsis Retail Investor Sentiment and Behavior by : Matthias Burghardt
Download or read book Retail Investor Sentiment and Behavior written by Matthias Burghardt and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
Book Synopsis Retail Investor Sentiment and the Stock Market by : Matthias Burghardt
Download or read book Retail Investor Sentiment and the Stock Market written by Matthias Burghardt and published by . This book was released on 2009 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique data set with 18.1 million transactions in bank-issued warrants from the European Warrant Exchange, we compute a retail investor sentiment index. We show that retail investors are contrarian, that retail investor sentiment is an important part of the equity pricing process and that we have a good measure of the sentiment. Moreover, our measure is better than existing measures for our sample period between January 2004 and December 2007. In addition, we show evidence that this data may be used for trading strategies that generate excess returns. As a whole our findings further support a role for retail investor sentiment in the equity pricing process.
Book Synopsis Investment Intelligence from Insider Trading by : H. Nejat Seyhun
Download or read book Investment Intelligence from Insider Trading written by H. Nejat Seyhun and published by MIT Press. This book was released on 2000-02-28 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn how to profit from information about insider trading. The term insider trading refers to the stock transactions of the officers, directors, and large shareholders of a firm. Many investors believe that corporate insiders, informed about their firms' prospects, buy and sell their own firm's stock at favorable times, reaping significant profits. Given the extra costs and risks of an active trading strategy, the key question for stock market investors is whether the publicly available insider-trading information can help them to outperform a simple passive index fund. Basing his insights on an exhaustive data set that captures information on all reported insider trading in all publicly held firms over the past twenty-one years—over one million transactions!—H. Nejat Seyhun shows how investors can use insider information to their advantage. He documents the magnitude and duration of the stock price movements following insider trading, determinants of insiders' profits, and the risks associated with imitating insider trading. He looks at the likely performance of individual firms and of the overall stock market, and compares the value of what one can learn from insider trading with commonly used measures of value such as price-earnings ratio, book-to-market ratio, and dividend yield.
Book Synopsis Essays on Investors' Sentiment and Attention by : Daniele Ballinari
Download or read book Essays on Investors' Sentiment and Attention written by Daniele Ballinari and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The first paper investigates the predictive power of investors' sentiment and attention for the stock returns' volatility. We introduce a novel and extensive dataset that combines information from social media platforms, news articles, search engine data, and information consumption. Applying a state-of-the-art sentiment classification technique, we construct measures of investors' sentiment and attention for 18 U.S. stocks and the financial market in general. We identify investors' attention, as measured by the number of Google searches on financial keywords (e.g. «financial market» and «stock market»), and the daily volume of company-specific short messages posted on the social media platform StockTwits to be the most relevant variables. The second paper investigates a potential driver of the predictive power documented in the first paper. We focus on news releases of 360 U.S. companies from the S&P 500 universe and analyze how investors' attention affects the speed at which new information is incorporated in stock prices. Our results show that higher investors' attention around news releases is related to higher contemporaneous volatility. Further, retail investor attention increases the post-announcement volatility, whereas institutional investor attention has a small but negative impact on volatility on days following news releases. The third paper extends the analysis of the first paper to the multivariate stock return volatility. Building on the theoretical and empirical evidence that links the price comovements with retail investors' behavior, we analyze the predictive power of retail investors' sentiment and attention for the realized correlation matrix of 35 Dow Jones stocks. We propose a new model of realized covariances that allows exogenous predictors to influence the correlation dynamics while ensuring the predicted matrices' positive definiteness. Using this model, we find retail investors' attention to have predictive power for return correlations, especially for longer forecasting horizons and during the COVID-19 pandemic. The last paper analyzes in more detail the time-series properties of the daily online investor sentiment measures used in the first two papers. We detect structural breaks in the sentiment series for most of the 360 U.S. companies considered in this paper. We illustrate the economic significance of this finding with a return prediction exercise.
Book Synopsis Trading on Sentiment by : Richard L. Peterson
Download or read book Trading on Sentiment written by Richard L. Peterson and published by John Wiley & Sons. This book was released on 2016-03-04 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: In his debut book on trading psychology, Inside the Investor’s Brain, Richard Peterson demonstrated how managing emotions helps top investors outperform. Now, in Trading on Sentiment, he takes you inside the science of crowd psychology and demonstrates that not only do price patterns exist, but the most predictable ones are rooted in our shared human nature. Peterson’s team developed text analysis engines to mine data - topics, beliefs, and emotions - from social media. Based on that data, they put together a market-neutral social media-based hedge fund that beat the S&P 500 by more than twenty-four percent—through the 2008 financial crisis. In this groundbreaking guide, he shows you how they did it and why it worked. Applying algorithms to social media data opened up an unprecedented world of insight into the elusive patterns of investor sentiment driving repeating market moves. Inside, you gain a privileged look at the media content that moves investors, along with time-tested techniques to make the smart moves—even when it doesn’t feel right. This book digs underneath technicals and fundamentals to explain the primary mover of market prices - the global information flow and how investors react to it. It provides the expert guidance you need to develop a competitive edge, manage risk, and overcome our sometimes-flawed human nature. Learn how traders are using sentiment analysis and statistical tools to extract value from media data in order to: Foresee important price moves using an understanding of how investors process news. Make more profitable investment decisions by identifying when prices are trending, when trends are turning, and when sharp market moves are likely to reverse. Use media sentiment to improve value and momentum investing returns. Avoid the pitfalls of unique price patterns found in commodities, currencies, and during speculative bubbles Trading on Sentiment deepens your understanding of markets and supplies you with the tools and techniques to beat global markets— whether they’re going up, down, or sideways.
Book Synopsis Trading on Sentiment by : Richard L. Peterson
Download or read book Trading on Sentiment written by Richard L. Peterson and published by John Wiley & Sons. This book was released on 2016-03-21 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: In his debut book on trading psychology, Inside the Investor’s Brain, Richard Peterson demonstrated how managing emotions helps top investors outperform. Now, in Trading on Sentiment, he takes you inside the science of crowd psychology and demonstrates that not only do price patterns exist, but the most predictable ones are rooted in our shared human nature. Peterson’s team developed text analysis engines to mine data - topics, beliefs, and emotions - from social media. Based on that data, they put together a market-neutral social media-based hedge fund that beat the S&P 500 by more than twenty-four percent—through the 2008 financial crisis. In this groundbreaking guide, he shows you how they did it and why it worked. Applying algorithms to social media data opened up an unprecedented world of insight into the elusive patterns of investor sentiment driving repeating market moves. Inside, you gain a privileged look at the media content that moves investors, along with time-tested techniques to make the smart moves—even when it doesn’t feel right. This book digs underneath technicals and fundamentals to explain the primary mover of market prices - the global information flow and how investors react to it. It provides the expert guidance you need to develop a competitive edge, manage risk, and overcome our sometimes-flawed human nature. Learn how traders are using sentiment analysis and statistical tools to extract value from media data in order to: Foresee important price moves using an understanding of how investors process news. Make more profitable investment decisions by identifying when prices are trending, when trends are turning, and when sharp market moves are likely to reverse. Use media sentiment to improve value and momentum investing returns. Avoid the pitfalls of unique price patterns found in commodities, currencies, and during speculative bubbles Trading on Sentiment deepens your understanding of markets and supplies you with the tools and techniques to beat global markets— whether they’re going up, down, or sideways.
Book Synopsis Contrarian Investment Strategies by : David Dreman
Download or read book Contrarian Investment Strategies written by David Dreman and published by Simon and Schuster. This book was released on 2012-01-10 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces important new findings in psychology to demonstrate why most investment strategies are flawed, outlining atypical strategies designed to prevent over- and under-valuations while crash-proofing a portfolio.
Download or read book Stock Message Boards written by Y. Zhang and published by Springer. This book was released on 2014-12-04 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Message Boards provides empirical data to reveal how online communication not only impacts stock returns, but also volatility, trading volume, and liquidity, as well as an investing firm's value and reputation.
Book Synopsis Investor Sentiment and the Near-Term Stock Market by : Michael T. Cliff
Download or read book Investor Sentiment and the Near-Term Stock Market written by Michael T. Cliff and published by . This book was released on 2012 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate investor sentiment and its relation to near-term stock market returns. We find that many commonly-cited indirect measures of sentiment are related to direct measures (surveys) of investor sentiment. However, past market returns are also an important determinant of sentiment. Although sentiment changes are strongly correlated with contemporaneous market returns, our tests show that sentiment has little predictive power for near- term future stock returns. Finally, our evidence does not support the conventional wisdom that sentiment primarily affects individual investors and small stocks.
Download or read book Unlocking the Equity Market written by and published by . This book was released on 2023-10-06 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 'Unlocking the Equity Market: Understanding Retail Investor Behavior, Biases, and Their Market-Wide Impacts, ' readers embark on a fascinating exploration of the intricate world of retail investing. This insightful work delves into the psychology and behavior of retail investors, unraveling the biases and decisionmaking processes that shape the equity market. The narrative unfolds as a deep dive into the minds of retail investors, dissecting their behavior and exploring the psychological biases that influence their market interactions. Through comprehensive research and real-world examples, the book illuminates the complexities of investor sentiment, shedding light on how emotions, cognitive biases, and social factors impact trading decisions. Readers are guided through the various cognitive biases that often lead to irrational market behavior, from overconfidence and loss aversion to herding and anchoring. The book emphasizes the profound impact of these biases not only on individual investors but also on market-wide trends, showcasing how collective retail investor behavior can influence stock prices and market volatility. 'Unlocking the Equity Market' serves as a valuable resource for both novice and experienced investors, offering insights into the underlying factors that drive market fluctuations. It equips readers with a deep understanding of retail investor behavior, enabling them to navigate the equity market with a more informed and analytical perspective. As readers delve into the complexities of investor biases, they gain valuable insights that can help them make more rational and strategic investment decisions, unlocking the potential for success in the ever-changing world of equity trading.
Book Synopsis Inefficient Markets by : Andrei Shleifer
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Book Synopsis Cracking the Emerging Markets Enigma by : G. Andrew Karolyi
Download or read book Cracking the Emerging Markets Enigma written by G. Andrew Karolyi and published by Oxford University Press, USA. This book was released on 2015 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cracking the Emerging Markets Enigma outlines a rigorous, comprehensive, and practical framework for evaluating the opportunities and, more importantly, the risks of investing in emerging markets. Built on a foundation of sound research on foreign direct and portfolio capital flows, Andrew Karolyi's proposed system of evaluation incorporates multiple dimensions of the potential risks faced by prospective investors in an empirically coherent framework.
Book Synopsis Investor Sentiment in the Stock Market by : Malcolm P. Baker
Download or read book Investor Sentiment in the Stock Market written by Malcolm P. Baker and published by . This book was released on 2007 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The "top down" approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the two broader and more irrefutable assumptions of behavioral finance -- sentiment and the limits to arbitrage -- to explain which stocks are likely to be most affected by sentiment. In particular, stocks of low capitalization, younger, unprofitable, high volatility, non-dividend paying, growth companies, or stocks of firms in financial distress, are likely to be disproportionately sensitive to broad waves of investor sentiment. We review the theoretical and empirical evidence for these predictions."--abstract.
Book Synopsis Irrational Exuberance by : Robert J. Shiller
Download or read book Irrational Exuberance written by Robert J. Shiller and published by Scribe Publications. This book was released on 2000 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: No Marketing Blurb
Book Synopsis Noise Trading in Small Markets by : Frederic Palomino
Download or read book Noise Trading in Small Markets written by Frederic Palomino and published by . This book was released on 1994 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Relationship Between Individual Investor Sentiment with Its Volatility and Returns of Small-Cap Stocks by : Qin Yong
Download or read book Relationship Between Individual Investor Sentiment with Its Volatility and Returns of Small-Cap Stocks written by Qin Yong and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Due to the irrational behavior of individual investors have a significant impact on the stock market, and Chinese stock market with inexperienced individual investors as the main body, our individual investor sentiment may play a more important role than in Western countries in the stock trading process. Therefore, this paper use ARMA-GARCH model to examine the relationship between the investor sentiment along its volatility and the small-cap stocks, which are individually described by newly opened stock trading accounts and the CSI 500. The results show that: The individual investor behavior exhibits a short-term ARCH effects and small-cap stocks exhibit short-term gain inertia; the high number of newly opened stock trading accounts responses to high small-cap stocks yields and display a "spillover effect" to market return; using newly opened stock trading accounts as individual investor sentiment index has great explanatory power to small-cap stocks in China.
Book Synopsis Data Science for Economics and Finance by : Sergio Consoli
Download or read book Data Science for Economics and Finance written by Sergio Consoli and published by Springer Nature. This book was released on 2021 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book covers the use of data science, including advanced machine learning, big data analytics, Semantic Web technologies, natural language processing, social media analysis, time series analysis, among others, for applications in economics and finance. In addition, it shows some successful applications of advanced data science solutions used to extract new knowledge from data in order to improve economic forecasting models. The book starts with an introduction on the use of data science technologies in economics and finance and is followed by thirteen chapters showing success stories of the application of specific data science methodologies, touching on particular topics related to novel big data sources and technologies for economic analysis (e.g. social media and news); big data models leveraging on supervised/unsupervised (deep) machine learning; natural language processing to build economic and financial indicators; and forecasting and nowcasting of economic variables through time series analysis. This book is relevant to all stakeholders involved in digital and data-intensive research in economics and finance, helping them to understand the main opportunities and challenges, become familiar with the latest methodological findings, and learn how to use and evaluate the performances of novel tools and frameworks. It primarily targets data scientists and business analysts exploiting data science technologies, and it will also be a useful resource to research students in disciplines and courses related to these topics. Overall, readers will learn modern and effective data science solutions to create tangible innovations for economic and financial applications.
